You'll be lonely for a while, especially if you're moving here without knowing anyone. Go to events from meetup.com, take a cooking class, talk to the cool bartender at the place you go to drink away your loneliness. If you have friends / contacts from the past that you know live here (filter out your friends in NYC on Facebook) -- CONTACT THEM! They could very well be in the same situation you are. No one ever says "no new friends" but Drake.
Go to happy hours with $4 beers instead of a fancy wine or cocktail bar. It's so easy to want to fall into that "lifestyle" if you will, of having $15 drinks and pretending you're a baller, but your wallet will thank you in the end.
Don't drink away your loneliness, even those $4 happy hour beers add up. Also, you'll probably gain unnecessary weight if you do this.
Be proactive, take walks, only pay $1 at the Met, don't take so many cabs/ubers, someone else mentioned all of the pet peeves you'll start to have--just ignore them, you can be angry at the tourist family holding hands and blocking the entire side walk but in the end, your annoyedness doesn't actually make them get the hell out of the way, it just puts a black cloud over your mood.
This isn't advice that I would have given myself, per se, because I try my hardest to be friendly to everyone (such a saint, I am, I know).... But seriously, if you go somewhere often (and just anywhere you go) say thank you, don't be rude if Starbucks baristas are half heartedly working and you have to wait an extra minute for your latte, SMILE -- it's like, scientifically proven that if you force yourself to smile you'll actually feel happier. This might seem like general life advice but it's so easy to become grumpy from little things while living/working here (subway disruptions, people who don't know how to move into the middle of the subway car, just the subway in general, crowded streets, how everyone is hotter/more successful/happier here than you (side note, it's totally not true), the high cost of living, work issues, ect) that this would probably make a difference. And if you just don't like to be nice to people because you're a curmudgeon, then remember that workers in the places you frequent are going to remember how you treat them, and that may mean no free drinks, discounted coffee, fast service, what have you.